This paper investigates the role of inflation risk in a model of the price dividend ratio, combining a dynamic Gordon model specification with the inflation-augmented capital asset pricing model (CAPM). The model is estimated for the Euro Area and U.S. and tested against traditional models. For...

An example of possible misIeading role of the basic charaeteristics of the c1assical LB regression analysis is given. Another example using high breakdown point estimators demonstrates that in the case of contaminated data various estimators may give considerably different estimates....